In the old days, Las Vegas really took care of its players. That's what you see in all the movies. My favorite take on the “player” was from the movies Swingers-you're so money.
Unfortunately, today's Las Vegas is a penny pinching corporate environment. It's not enough to simply go and play. You'll go unnoticed unless you're dropping tens of thousands in one spot.

Casinos are huge places and no one in the Craps pit will know that you played $10,000 on video poker unless you do it right.
Your first step-before spending one dime in a casino-is to get a player's card. I don't know of one casino that doesn't have one these days. You can get a player's card from the redemption center. Just ask anyone that works for the casino and they'll point the way.

A player's card is basically a little credit card looking thing. They take all of your information (name, address, birth date, etc) and create an account for you. Once you have a player's card all of your action is logged to that account. Aside from possible comps and bonuses, these cards are great for tax time. You'll be able to get a print out of your wins and losses. And it's a third party source, so it's solid for the IRS.
Using the player's card is very simple. Let's say you are about to partake in some fun video poker action. Each machine will have a little card slot on the front. Just enter your card, wait for the confirmation that it's accepted, and play.

Remember to leave your card in the slot when you play and remember to take it with you when you leave. If you lose it, they'll just give you another one.
When you go to the tables, it's a little different procedure. You need to give your card to the dealer-who then hands it off to the pit boss. They'll scan the card and then rate your play.
Now that you are “in the system,” you can ask for comps or earn them via bonus programs. Anyone can now pull up your account and see what you've been playing. There's no need to prove it anymore.
As a bonus feature, most Las Vegas casinos give card holders discounts on shows, buffets and other products and services. It's definitely worth the couple of minutes to get a player's card for each casino you visit.